Skip to main content
Article thumbnail
Location of Repository

Quasi-Monte Carlo simulations for Longstaff Schwartz pricing of american options

By Eric Couffignals
Topics: Mathematics education
Year: 2010
OAI identifier:

Suggested articles


  1. (1998). A˚kesson et al.,Discrete eigenfunction expansion of multidimensional Brownian motion and the Ornstein-Uhlenbeck process,
  2. (1997). A.B.,Scrambled net variance for integrals of smooth functions, Annals of statistics,
  3. An analysis of a least squares regression method for American option pricing, Finance and Stochastics,
  4. (2008). Constructing Sobol’s sequences with better twodimensional projections,
  5. (2010). Finite Difference Methods lectures, Problem Sheet 6,
  6. (1988). Implementing Sobol’s Quasirandom Sequence Generator,
  7. (2010). Lecture Notes: MScMCF: Numerical Methods II,
  8. (2009). Longstaff-Schwartz Pricing of Bermudan Options and their Greeks,
  9. (2002). Monte Carlo valuation of American options,
  10. (2010). Monte-carlo Methods and Models in Finance and Insurance,
  11. (2004). Monte-carlo Methods in Financial Engineering,
  12. (1992). Niederreiter H.,Random number generation and quasi-Monte Carlo methods, SIAM,
  13. (2004). Number of paths versus number of basis functions in American option pricing, Columbia Universityl,
  14. (2008). Pricing d’options en Quasi Monte Carlo, Ecole Central Paris,
  15. Quasi-Monte Carlo for finance applications,
  16. (1998). Stochastic Calculus For Finance II, ContinousTime Models,
  17. (2007). Use of FFT for fast PCA construction,
  18. (2001). Valuing american options by simulation: a simple least-square approach, The Review of Financial Studies,

To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.